The main reason I never finished Asellus' quest on previous attempts: It's one gigantic grind. Grind to power up your characters and earn money for equipment, then go traipsing around all of the major dungeons waiting for Orlouge's lackeys to appear. Rinse and repeat five times.
Potential places they can appear:
- Back Street/Sewers (Koorong)
- Sei's Tomb and Mu's Tomb (Shrike)
- Luminous
- Garden (Kyo)
- Liquor shrine exterior (Yorkland)
- Hilltop shrine (Devin)
- Ruins (Shingrow)
- Lord's Manor (Owmi)
- Wakatu
Thankfully, they will only appear very early into the dungeons, so if you wander more than a few rooms in and you don't find them, you can try somewhere else. Also keep in mind that you won't encounter two events back to back - you'll have to take a break to fight a few random battles before the next one will appear.